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Bernardo da Veiga

Personal Details

First Name:Bernardo
Middle Name:
Last Name:da Veiga
Suffix:
RePEc Short-ID:pda364
Terminal Degree:2006 Department of Economics; Business School; University of Western Australia (from RePEc Genealogy)

Affiliation

School of Economics and Finance
Curtin Business School
Curtin University

Perth, Australia
http://business.curtin.edu.au/schools/economics_finance/

: +61 8 9266 7756
+61 8 9266 3026
GPO Box U1987, Perth 6845, Western Australia
RePEc:edi:securau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CIRJE F-Series CIRJE-F-683, CIRJE, Faculty of Economics, University of Tokyo.
  2. Michael McAleer & Bernardo da Veiga & Suhejla Hoti, 2009. "Value-at-Risk for Country Risk Ratings," CIRJE F-Series CIRJE-F-659, CIRJE, Faculty of Economics, University of Tokyo.
  3. Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005. "Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives," DEA Working Papers 11, Universitat de les Illes Balears, Departament d'Economía Aplicada.
  4. Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005. "Risk Management of Daily Tourist Tax Revenues for the Maldives," Working Papers 2005.137, Fondazione Eni Enrico Mattei.

Articles

  1. Anup M. Nandialath & Bernardo da Veiga & Madan Annavarjula & Ramesh Mohan, 2014. "The effect of heteroskedasticity on factors affecting stock repurchases," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 16(2), pages 142-156.
  2. Bernardo da Veiga & Felix Chan & Michael McAleer, 2012. "It pays to violate: how effective are the Basel accord penalties in encouraging risk management?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(1), pages 95-116, March.
  3. McAleer, Michael & da Veiga, Bernardo & Hoti, Suhejla, 2011. "Value-at-Risk for country risk ratings," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1454-1463.
  4. da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008. "Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 453-475, September.
  5. da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008. "Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 155-171.
  6. Michael Mcaleer & Bernardo da Veiga, 2008. "Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 1-19.
  7. Michael McAleer & Bernardo da Veiga, 2008. "Single-index and portfolio models for forecasting value-at-risk thresholds," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 217-235.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CIRJE F-Series CIRJE-F-683, CIRJE, Faculty of Economics, University of Tokyo.

    Cited by:

    1. David Allen & Robert Faff, 2012. "The Global Financial Crisis: some attributes and responses," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(1), pages 1-7, March.

  2. Michael McAleer & Bernardo da Veiga & Suhejla Hoti, 2009. "Value-at-Risk for Country Risk Ratings," CIRJE F-Series CIRJE-F-659, CIRJE, Faculty of Economics, University of Tokyo.

    Cited by:

    1. Ledermann, Daniel & Alexander, Carol, 2012. "Further properties of random orthogonal matrix simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 56-79.
    2. Cristina Alina Naftanaila, 2012. "Rating Based on the Country Risk," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 2(2), pages 126-135, April.
    3. San-Martín-Albizuri, Nerea & Rodríguez-Castellanos, Arturo, 2012. "Globalisation And The Unpredictability Of Crisis Episodes: An Empirical Analysis Of Country Risk Indexes / La Imprevisibilidad De Los Episodios De Crisis: Un Análisis Sobre Los Índices De Riesgo País ," Investigaciones Europeas de Dirección y Economía de la Empresa (IEDEE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), vol. 18(2), pages 148-155.
    4. Köksal, Bülent & Orhan, Mehmet, 2012. "Market risk of developed and developing countries during the global financial crisis," MPRA Paper 37523, University Library of Munich, Germany.

  3. Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005. "Risk Management of Daily Tourist Tax Revenues for the Maldives," Working Papers 2005.137, Fondazione Eni Enrico Mattei.

    Cited by:

    1. Paola De Agostini & Stefania Lovo & Francesco Pecci & Federico Perali & Michele Baggio, 2006. "Simulating the Impact on the Local Economy of Alternative Management Scenarios for Natural Areas," Chapters,in: Integrated Assessment and Management of Public Resources, chapter 6 Edward Elgar Publishing.
    2. Antonio Menezes & Ainura Uzagalieva, 2013. "The Demand of Car Rentals: a Microeconometric Approach with Count Models and Survey Data," Review of Economic Analysis, Rimini Centre for Economic Analysis, vol. 5(1), pages 25-41, June.
    3. Alberto Gago & Xavier Labandeira & Fidel Picos & Miguel Rodríguez, 2006. "Taxing Tourism in Spain: Results and Recommendations," DEA Working Papers 16, Universitat de les Illes Balears, Departament d'Economía Aplicada.
    4. Juin‐Jen Chang & Lee‐Jung Lu & Shih‐Wen Hu, 2011. "Congestion Externalities of Tourism, Dutch Disease and Optimal Taxation: Macroeconomic Implications," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 90-108, March.
    5. Candela, Guido & Figini, Paolo & Scorcu, Antonello E., 2005. "The Economics of Local Tourist Systems," Natural Resources Management Working Papers 12130, Fondazione Eni Enrico Mattei (FEEM).

Articles

  1. Bernardo da Veiga & Felix Chan & Michael McAleer, 2012. "It pays to violate: how effective are the Basel accord penalties in encouraging risk management?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(1), pages 95-116, March.

    Cited by:

    1. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Prateek Sharma & Vipul _, 2015. "Forecasting stock index volatility with GARCH models: international evidence," Studies in Economics and Finance, Emerald Group Publishing, vol. 32(4), pages 445-463, October.

  2. McAleer, Michael & da Veiga, Bernardo & Hoti, Suhejla, 2011. "Value-at-Risk for country risk ratings," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1454-1463.
    See citations under working paper version above.
  3. da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008. "Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 453-475, September.

    Cited by:

    1. Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CIRJE F-Series CIRJE-F-683, CIRJE, Faculty of Economics, University of Tokyo.
    2. He, Hongbo & Chen, Shou & Yao, Shujie & Ou, Jinghua, 2014. "Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 434-444.
    3. Christos Agiakloglou & Charalampos Agiropoulos, 2011. "The sensitivity of Value-at-Risk estimates using Monte Carlo approach," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 61(1-2), pages 7-12, January -.
    4. Abdul Hakim, 2009. "Forcasting portofolio value-at-risk for international stocks, bonds, and foreign exchange emerging market evidence," Economic Journal of Emerging Markets, Universitas Islam Indonesia, Department of Economics, vol. 1(1), pages 13-26, April.

  4. da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008. "Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 155-171.

    Cited by:

    1. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," KIER Working Papers 717, Kyoto University, Institute of Economic Research.
    2. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CIRJE F-Series CIRJE-F-641, CIRJE, Faculty of Economics, University of Tokyo.
    3. Weber, Enzo & Zhang, Yanqun, 2012. "Common influences, spillover and integration in Chinese stock markets," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 382-394.
    4. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets," Working Papers in Economics 10/19, University of Canterbury, Department of Economics and Finance.
    5. Abdul Hakim, 2009. "Forcasting portofolio value-at-risk for international stocks, bonds, and foreign exchange emerging market evidence," Economic Journal of Emerging Markets, Universitas Islam Indonesia, Department of Economics, vol. 1(1), pages 13-26, April.

  5. Michael Mcaleer & Bernardo da Veiga, 2008. "Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 1-19.

    Cited by:

    1. Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2009. "The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord," Documentos de Trabajo del ICAE 2009-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. Michael McAleer & Bernardo da Veiga & Suhejla Hoti, 2009. "Value-at-Risk for Country Risk Ratings," CARF F-Series CARF-F-169, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    3. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Chang, C-L. & McAleer, M.J., 2009. "Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan," Econometric Institute Research Papers EI 2009-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    5. Hammoudeh, S.M. & Malik, F. & McAleer, M.J., 2010. "Risk management of precious metals," Econometric Institute Research Papers EI 2010-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    6. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CIRJE F-Series CIRJE-F-667, CIRJE, Faculty of Economics, University of Tokyo.
    7. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
    8. Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CIRJE F-Series CIRJE-F-683, CIRJE, Faculty of Economics, University of Tokyo.
    9. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    10. Jose Angelo Divino & Michael McAleer, 2009. "Modelling and Forecasting Daily International Mass Tourism to Peru," CIRJE F-Series CIRJE-F-651, CIRJE, Faculty of Economics, University of Tokyo.
    11. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    12. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    13. Hakim, Abdul & McAleer, Michael, 2009. "Forecasting conditional correlations in stock, bond and foreign exchange markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2830-2846.
    14. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Pérez-Amaral, 0000. "Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?," Tinbergen Institute Discussion Papers 09-039/4, Tinbergen Institute.
    15. Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers 775, Kyoto University, Institute of Economic Research.
    16. Hammoudeh, Shawkat & Araújo Santos, Paulo & Al-Hassan, Abdullah, 2013. "Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 318-334.
    17. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CIRJE F-Series CIRJE-F-644, CIRJE, Faculty of Economics, University of Tokyo.
    18. Liu, Tengdong & Hammoudeh, Shawkat & Santos, Paulo Araújo, 2014. "Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 47-68.
    19. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
    20. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series CIRJE-F-636, CIRJE, Faculty of Economics, University of Tokyo.
    21. Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2012. "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE 2012-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Feb 2012.
    22. Michael McAleer & Bernardo da Veiga, 2008. "Single-index and portfolio models for forecasting value-at-risk thresholds," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 217-235.
    23. Carnero M. Angeles & Eratalay M. Hakan, 2014. "Estimating VAR-MGARCH models in multiple steps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-27, May.
    24. da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008. "Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 453-475, September.
    25. Sarafrazi, Soodabeh & Hammoudeh, Shawkat & AraújoSantos, Paulo, 2014. "Downside risk, portfolio diversification and the financial crisis in the euro-zone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 368-396.
    26. Eraslan, Sercan & Ali, Faek Menla, 2017. "Financial crises and the dynamic linkages between stock and bond returns," Discussion Papers 17/2017, Deutsche Bundesbank.
    27. Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Time-varying mixture GARCH models and asymmetric volatility," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 602-623.
    28. Ruiz, Esther & Nogales, Francisco J. & Santos, André A. P., 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws097222, Universidad Carlos III de Madrid. Departamento de Estadística.
    29. McAleer, M.J., 2008. "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Research Papers EI 2008-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    30. Amira Akl Ahmed & Doaa Akl Ahmed, 2016. "Modelling Conditional Volatility and Downside Risk for Istanbul Stock Exchange," Working Papers 1028, Economic Research Forum, revised Jul 2016.
    31. Stavros Degiannakis & Apostolos Kiohos, 2014. "Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices," Journal of Economic Studies, Emerald Group Publishing, vol. 41(2), pages 216-232, March.
    32. Halbleib, Roxana & Pohlmeier, Winfried, 2012. "Improving the value at risk forecasts: Theory and evidence from the financial crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1212-1228.
    33. Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79850, Verein für Socialpolitik / German Economic Association.
    34. Metiu, Norbert, 2012. "Sovereign risk contagion in the Eurozone," Economics Letters, Elsevier, vol. 117(1), pages 35-38.
    35. Jose Angelo Divino & Michael McAleer, 2009. "Modelling the Growth and Volatility in Daily International Mass Tourism to Peru," Documentos de Trabajo del ICAE 2009-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    36. Svetlana Mira & Nicholas Taylor, 2013. "An International Perspective on Risk Management Quality," European Financial Management, European Financial Management Association, vol. 19(5), pages 935-955, November.
    37. Hood, Matthew & Malik, Farooq, 2018. "Estimating downside risk in stock returns under structural breaks," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 102-112.
    38. Liu, Xiaochun & Luger, Richard, 2015. "Unfolded GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 186-217.

  6. Michael McAleer & Bernardo da Veiga, 2008. "Single-index and portfolio models for forecasting value-at-risk thresholds," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 217-235.

    Cited by:

    1. Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
    2. Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2009. "The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord," Documentos de Trabajo del ICAE 2009-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    3. Michael McAleer & Bernardo da Veiga & Suhejla Hoti, 2009. "Value-at-Risk for Country Risk Ratings," CARF F-Series CARF-F-169, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    5. Mauro Bernardi & Leopoldo Catania, 2014. "The Model Confidence Set package for R," Papers 1410.8504, arXiv.org.
    6. Chang, C-L. & McAleer, M.J., 2009. "Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan," Econometric Institute Research Papers EI 2009-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Hammoudeh, S.M. & Malik, F. & McAleer, M.J., 2010. "Risk management of precious metals," Econometric Institute Research Papers EI 2010-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    8. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CIRJE F-Series CIRJE-F-667, CIRJE, Faculty of Economics, University of Tokyo.
    9. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
    10. Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CIRJE F-Series CIRJE-F-683, CIRJE, Faculty of Economics, University of Tokyo.
    11. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    12. Jose Angelo Divino & Michael McAleer, 2009. "Modelling and Forecasting Daily International Mass Tourism to Peru," CIRJE F-Series CIRJE-F-651, CIRJE, Faculty of Economics, University of Tokyo.
    13. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    14. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    15. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Pérez-Amaral, 0000. "Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?," Tinbergen Institute Discussion Papers 09-039/4, Tinbergen Institute.
    16. Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers 775, Kyoto University, Institute of Economic Research.
    17. Caporale, Guglielmo Maria & Zekokh, Timur, 2019. "Modelling volatility of cryptocurrencies using Markov-Switching GARCH models," Research in International Business and Finance, Elsevier, vol. 48(C), pages 143-155.
    18. Hammoudeh, Shawkat & Araújo Santos, Paulo & Al-Hassan, Abdullah, 2013. "Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 318-334.
    19. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, vol. 29(1), pages 28-42.
    20. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CIRJE F-Series CIRJE-F-644, CIRJE, Faculty of Economics, University of Tokyo.
    21. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
    22. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series CIRJE-F-636, CIRJE, Faculty of Economics, University of Tokyo.
    23. Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2012. "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE 2012-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Feb 2012.
    24. Carnero M. Angeles & Eratalay M. Hakan, 2014. "Estimating VAR-MGARCH models in multiple steps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-27, May.
    25. Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
    26. Francq, Christian & Zakoian, Jean-Michel, 2015. "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper 68100, University Library of Munich, Germany.
    27. Ruiz, Esther & Nogales, Francisco J. & Santos, André A. P., 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws097222, Universidad Carlos III de Madrid. Departamento de Estadística.
    28. McAleer, M.J., 2008. "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Research Papers EI 2008-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    29. Fortin, Alain-Philippe & Simonato, Jean-Guy & Dionne, Georges, 2018. "Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?," Working Papers 18-4, HEC Montreal, Canada Research Chair in Risk Management.
    30. Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(4), pages 649-677.
    31. Stavros Degiannakis & Apostolos Kiohos, 2014. "Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices," Journal of Economic Studies, Emerald Group Publishing, vol. 41(2), pages 216-232, March.
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (6) 2005-12-09 2009-09-19 2009-11-27 2009-12-11 2010-05-29 2010-09-18. Author is listed
  2. NEP-BAN: Banking (3) 2009-11-27 2010-05-29 2010-09-18
  3. NEP-REG: Regulation (3) 2009-11-27 2009-12-11 2010-09-18
  4. NEP-FMK: Financial Markets (2) 2009-09-19 2010-09-18
  5. NEP-TUR: Tourism Economics (2) 2005-12-09 2006-04-08
  6. NEP-BEC: Business Economics (1) 2010-09-18
  7. NEP-IFN: International Finance (1) 2010-05-29

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